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Make options target close gate configurable via env.

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Support premium multiplier (coin default 1.05) or net-PnL USDT threshold with index conversion.

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-08-25 09:00:39 +08:00
parent 0cb2167770
commit 37f787e6a9
8 changed files with 211 additions and 29 deletions
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lib/options/options_close_gate_lib.py
+126 -20
View File
@@ -1,4 +1,4 @@
"""期权按买盘平仓门控:可回收需 ≥ N×权利金,并持续持有一段时间后才允许平仓."""
"""期权按买盘平仓门控:权利金倍数或净盈亏(USDT)达标并持续 hold 秒后才允许目标平仓."""
from __future__ import annotations
import os
@@ -14,12 +14,32 @@ def _env_float(key: str, default: float) -> float:
return default
# 可回收 ≥ 权利金 × 倍数,且该状态持续满 hold_seconds 才允许按买盘平仓
def _close_gate_mode() -> str:
raw = (os.getenv("OKX_OPTIONS_CLOSE_GATE_MODE") or "premium").strip().lower()
return raw if raw in ("premium", "net_pnl") else "premium"
def _close_recycle_mult(premium_ccy: str) -> float:
ccy = (premium_ccy or "USDC").strip().upper()
if ccy in ("ETH", "BTC"):
return _env_float("OKX_OPTIONS_CLOSE_RECYCLE_MULT_COIN", 1.05)
return _env_float("OKX_OPTIONS_CLOSE_RECYCLE_MULT", 2.0)
def _close_hold_seconds() -> float:
return _env_float("OKX_OPTIONS_CLOSE_HOLD_SECONDS", 120.0)
def _close_net_pnl_min_usdt() -> float:
return _env_float("OKX_OPTIONS_CLOSE_NET_PNL_MIN_USDT", 0.0)
# 兼容旧引用
CLOSE_RECYCLE_MIN_MULT = _env_float("OKX_OPTIONS_CLOSE_RECYCLE_MULT", 2.0)
CLOSE_RECYCLE_HOLD_SECONDS = _env_float("OKX_OPTIONS_CLOSE_HOLD_SECONDS", 120.0)
_lock = threading.Lock()
# inst_id -> {"ok_since": float|None, "recycle": float, "premium": float, "updated": float}
# inst_id -> gate state
_gates: dict[str, dict[str, Any]] = {}
@@ -41,7 +61,7 @@ def clear_close_gate(inst_id: str | None = None) -> None:
def mark_close_gate_passed(inst_id: str) -> None:
"""标记同仓已通过 2× 门控,续批平仓只验流动性."""
"""标记同仓已通过门控,续批平仓只验流动性."""
inst = (inst_id or "").strip()
if not inst:
return
@@ -68,6 +88,30 @@ def _fmt_gate_amt(v: float, *, ccy: str) -> str:
return f"{float(v):.4f}"
def _fmt_usdt(v: float) -> str:
sign = "+" if v >= 0 else ""
return f"{sign}{float(v):.2f}"
def _net_pnl_usdt(
*,
recv: float | None,
prem: float | None,
premium_ccy: str,
index_px: float | None,
) -> float | None:
if recv is None or prem is None:
return None
net = float(recv) - float(prem)
ccy = (premium_ccy or "USDC").strip().upper() or "USDC"
if ccy in ("ETH", "BTC"):
idx = _safe_float(index_px)
if idx is None or idx <= 0:
return None
return net * float(idx)
return net
def update_close_gate(
inst_id: str,
*,
@@ -77,9 +121,14 @@ def update_close_gate(
min_mult: float | None = None,
hold_seconds: float | None = None,
premium_ccy: str | None = None,
index_px: float | None = None,
gate_mode: str | None = None,
net_pnl_min_usdt: float | None = None,
) -> dict[str, Any]:
"""
根据当前买盘可回收金额刷新门控.
premium: 可回收 ≥ 权利金×倍数(币本位默认×1.05,USDC 默认×2)
net_pnl: 净盈亏(买一可回收−权利金)折 USDT ≥ 阈值(默认 0U)
条件不满足时重置计时;满足时从首次满足起累计持续时间.
"""
inst = (inst_id or "").strip()
@@ -91,15 +140,16 @@ def update_close_gate(
"msg": "缺少合约",
}
ts = float(now if now is not None else time.time())
mult = float(min_mult if min_mult is not None else CLOSE_RECYCLE_MIN_MULT)
hold = float(hold_seconds if hold_seconds is not None else CLOSE_RECYCLE_HOLD_SECONDS)
if mult <= 0:
mult = 2.0
mode = (gate_mode or _close_gate_mode()).strip().lower()
if mode not in ("premium", "net_pnl"):
mode = "premium"
hold = float(hold_seconds if hold_seconds is not None else _close_hold_seconds())
if hold < 0:
hold = 0.0
with _lock:
prev_ccy = (_gates.get(inst) or {}).get("premium_ccy")
prev = _gates.get(inst) or {}
prev_ccy = prev.get("premium_ccy")
ccy = (premium_ccy or prev_ccy or "USDC").strip().upper() or "USDC"
if ccy not in ("ETH", "BTC", "USDC"):
ccy = "USDC"
@@ -107,21 +157,44 @@ def update_close_gate(
prem = _safe_float(premium_paid)
recv = _safe_float(recycle_usdc)
mult = float(min_mult if min_mult is not None else _close_recycle_mult(ccy))
if mult <= 0:
mult = _close_recycle_mult(ccy)
min_pnl_u = float(net_pnl_min_usdt if net_pnl_min_usdt is not None else _close_net_pnl_min_usdt())
idx = _safe_float(index_px)
if idx is None:
idx = _safe_float(prev.get("index_px"))
need = round(prem * mult, need_decimals) if prem is not None and prem > 0 else None
recycle_ok = bool(
prem is not None and prem > 0 and recv is not None and need is not None and recv + 1e-12 >= need
)
net_pnl_u = _net_pnl_usdt(recv=recv, prem=prem, premium_ccy=ccy, index_px=idx)
if mode == "net_pnl":
if prem is None or prem <= 0:
condition_ok = False
elif recv is None:
condition_ok = False
elif net_pnl_u is None:
condition_ok = False
else:
condition_ok = bool(net_pnl_u + 1e-9 >= min_pnl_u)
else:
condition_ok = bool(
prem is not None and prem > 0 and recv is not None and need is not None and recv + 1e-12 >= need
)
with _lock:
prev = _gates.get(inst) or {}
prev_mode = prev.get("gate_mode")
ok_since = prev.get("ok_since")
if recycle_ok:
if prev_mode != mode:
ok_since = None
if condition_ok:
if ok_since is None:
ok_since = ts
else:
ok_since = None
held = (ts - float(ok_since)) if ok_since is not None else 0.0
ready = bool(recycle_ok and held + 1e-9 >= hold)
ready = bool(condition_ok and held + 1e-9 >= hold)
prev_passed = bool(prev.get("passed"))
passed = prev_passed or ready
state = {
@@ -134,15 +207,38 @@ def update_close_gate(
"hold_seconds": hold,
"passed": passed,
"premium_ccy": ccy,
"gate_mode": mode,
"net_pnl_usdt": net_pnl_u,
"net_pnl_min_usdt": min_pnl_u,
"index_px": idx,
}
_gates[inst] = state
remain = max(0.0, hold - held) if recycle_ok and not ready else None
if prem is None or prem <= 0:
remain = max(0.0, hold - held) if condition_ok and not ready else None
if mode == "net_pnl":
if prem is None or prem <= 0:
msg = "缺少权利金,无法校验平仓门控"
elif recv is None:
msg = "暂无有效买盘可回收金额"
elif net_pnl_u is None:
msg = "缺少指数价,无法将币本位净盈亏折算为 USDT"
elif not condition_ok:
msg = (
f"净盈亏 {_fmt_usdt(net_pnl_u)} U(估) < {min_pnl_u:g} U,"
f"目标平仓门控未过"
)
elif not ready:
msg = (
f"净盈亏 {_fmt_usdt(net_pnl_u)} U(估) ≥ {min_pnl_u:g} U,"
f"需再持续 {remain:.0f}s(已 {held:.0f}/{hold:.0f}s)门控才通过"
)
else:
msg = f"净盈亏 ≥ {min_pnl_u:g} U 且持续≥{hold:.0f}s,目标触达后可按买一平仓"
elif prem is None or prem <= 0:
msg = "缺少权利金,无法校验平仓门控"
elif recv is None:
msg = "暂无有效买盘可回收金额"
elif not recycle_ok:
elif not condition_ok:
msg = (
f"可回收 {_fmt_gate_amt(recv, ccy=ccy)} {ccy} < 权利金×{mult:g}"
f"({_fmt_gate_amt(need, ccy=ccy)}),目标平仓门控未过"
@@ -160,19 +256,23 @@ def update_close_gate(
"ok": True,
"ready": ready,
"passed": passed,
"recycle_ok": recycle_ok,
"recycle_ok": condition_ok,
"recycle_usdc": recv,
"premium_paid": prem,
"need_recycle_usdc": need,
"premium_ccy": ccy,
"min_mult": mult,
"hold_seconds": hold,
"held_seconds": round(held, 1) if recycle_ok else 0.0,
"held_seconds": round(held, 1) if condition_ok else 0.0,
"remain_seconds": round(remain, 1) if remain is not None else None,
"ok_since": ok_since,
"msg": msg,
"auto_close_blocked": auto_blocked,
"close_gate_blocked": auto_blocked,
"gate_mode": mode,
"net_pnl_usdt": net_pnl_u,
"net_pnl_min_usdt": min_pnl_u,
"index_px": idx,
}
@@ -182,12 +282,13 @@ def check_close_gate(
recycle_usdc: float | None = None,
premium_paid: float | None = None,
premium_ccy: str | None = None,
index_px: float | None = None,
refresh: bool = True,
) -> dict[str, Any]:
"""检查是否允许平仓;默认先用最新回收/权利金刷新."""
inst = (inst_id or "").strip()
if refresh:
if recycle_usdc is None or premium_paid is None or premium_ccy is None:
if recycle_usdc is None or premium_paid is None or premium_ccy is None or index_px is None:
with _lock:
prev = _gates.get(inst) or {}
if recycle_usdc is None:
@@ -196,11 +297,14 @@ def check_close_gate(
premium_paid = prev.get("premium")
if premium_ccy is None:
premium_ccy = prev.get("premium_ccy")
if index_px is None:
index_px = prev.get("index_px")
return update_close_gate(
inst,
recycle_usdc=recycle_usdc,
premium_paid=premium_paid,
premium_ccy=premium_ccy,
index_px=index_px,
)
with _lock:
prev = _gates.get(inst)
@@ -210,10 +314,12 @@ def check_close_gate(
recycle_usdc=recycle_usdc,
premium_paid=premium_paid,
premium_ccy=premium_ccy,
index_px=index_px,
)
return update_close_gate(
inst,
recycle_usdc=recycle_usdc if recycle_usdc is not None else prev.get("recycle"),
premium_paid=premium_paid if premium_paid is not None else prev.get("premium"),
premium_ccy=premium_ccy if premium_ccy is not None else prev.get("premium_ccy"),
index_px=index_px if index_px is not None else prev.get("index_px"),
)